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Bierens, H. & Martins, L. F. (2010). Time varying cointegration. Econometric Theory. 26 (5), 1453-1490
H. Bierens and L. F. Martins, "Time varying cointegration", in Econometric Theory, vol. 26, no. 5, pp. 1453-1490, 2010
@article{bierens2010_1734181731033, author = "Bierens, H. and Martins, L. F.", title = "Time varying cointegration", journal = "Econometric Theory", year = "2010", volume = "26", number = "5", doi = "10.1017/S0266466609990648", pages = "1453-1490", url = "http://dx.doi.org/10.1017/S0266466609990648" }
TY - JOUR TI - Time varying cointegration T2 - Econometric Theory VL - 26 IS - 5 AU - Bierens, H. AU - Martins, L. F. PY - 2010 SP - 1453-1490 SN - 0266-4666 DO - 10.1017/S0266466609990648 UR - http://dx.doi.org/10.1017/S0266466609990648 AB - In this paper we propose a time-varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived. We apply our test to the purchasing power parity hypothesis of international prices and nominal exchange rates, and we find evidence of time-varying cointegration. ER -